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Reduction of Gaussian mixture models by maximum similarity. (English) Zbl 1204.62055
Summary: D. W. Scott and W. F. Szewczyk [Technometrics 43, No. 3, 325–335 (2001)] developed an iterative method to simplify (reduce the order of) a Gaussian mixture model by merging the two most similar components. Since the comparison of all pairs of components may not be feasible, they propose to consider only nearly adjacent components, with no guarantee that they find the most similar. I give a method to find the most similar pair of components without comparing all pairs, and propose an extension to higher dimensions.

MSC:
62G07 Density estimation
65C60 Computational problems in statistics (MSC2010)
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[1] Scott D. W., Technometrics (Special Tukey Memorial Issue) 43 pp 323– (2001)
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